These .zip files that contain .exe files are mainly viruses or trojans so you are lucky that you are using a mac cos if you had clicked on any of those .exe files with a pc you would probably unleash a virus onto your computer. I would suggest you use a good antivirus program that is up to date with it's signature files (it should notify you that these files are dangerous) and never open any of these files that contain .exe files. These zip files rarely contain anything useful so I don't know what you are downloading them for in the first place. if you continue to download them i just hope there is none containing a virus that effect macs.